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| THE ANALYTICS OF RISK MODEL VALIDATION
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 To order this title, and for more information, click here
Edited By
George Christodoulakis, Advisor to the Governor of the Bank of Greece and Assistant Professor of Finance, Manchester Business School, U.K.
Stephen Satchell, Reader in Financial Econometrics at Trinity College, Cambridge
Included in series
Quantitative Finance,
Description
Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives
require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of
internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and
there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning
to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation.
The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.
Audience
Primary audience: Investment Professionals and academics
Contents
Contents
Chapter 1 Determinants of small business default, Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
Chapter
2 Validation of stress testing models, Jospeh L. Breeden
Chapter 3 The validity of credit risk model validation methods, George
Christodoulakis and Stephen Satchell
Chapter 4 A moment-based procedure for evaluating risk forecasting models, Kevin Dowd
Chpater 5 Measuring concentration risk in credit portfolios, Klaus Duellmann
Chapter 6 A simple method for regulators to cross-check
operational risk loss models for banks, Wayne Holland and ManMohan S. Sodhi
Chapter 7 Of the credibility of mapping and bencmarking
credit risk estimates for internal rating systems, Vichett Oung
Chapter 8 Analytic models of the ROC curve: Applications to credit
rating model validation, Stephen Satchell and Wei Xia
Chapter 9 The validation of the equity portfolio risk models, Stephen
Satchell
Chapter 10 Dynamic risk analysis and risk model evaluation, Gunter Schwarz and Christoph Kessler
Chapter 11 Validation
of internal rating systems and PD esitmates, Dirk Tasche
Index
| Bibliographic details |
Hardbound, 216 pages, publication date: OCT-2007
ISBN-13: 978-0-7506-8158-2
ISBN-10: 0-7506-8158-6
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
USD 69.95
GBP 39.99
EUR 58.95
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Last update: 27 Sep 2008
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